TY - JOUR T1 - Is Incorporating ESG Considerations Costly? JF - The Journal of Portfolio Management DO - 10.3905/jpm.2022.1.377 SP - jpm.2022.1.377 AU - Arik Ben Dor AU - Jingling Guan AU - Yunpeng Sun Y1 - 2022/06/10 UR - https://pm-research.com/content/early/2022/06/10/jpm.2022.1.377.abstract N2 - A common approach to measuring the effect of ESG (or ESG premium) in equities is to use the difference between a broad index and its ESG version. This approach, however, does not control for mismatches in systematic risk exposures and sector weights that can contaminate the results between the two indexes. The authors introduce a new approach that accurately measures ESG return premium in equities and find that in the past decade it was positive in both the United States and Europe. The authors also identify a positive and distinct return effect from ESG momentum and show that both effects are complementary. They also discuss how investors could use this approach to construct portfolios to harvest pure ESG returns. ER -